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Equity option expiry (Friday) in Notional terms:
The combination of Monday’s cheapening and preliminary open interest data point to a mix of short setting and long cover in Tsy futures, although net short setting seemingly dominated.
11-Sep-23 | 08-Sep-23 | Daily OI Change | OI DV01 Equivalent Change ($) | |
TU | 3,640,926 | 3,619,225 | +21,701 | +838,410 |
FV | 5,380,438 | 5,361,815 | +18,623 | +796,151 |
TY | 4,650,633 | 4,666,870 | -16,237 | -1,064,268 |
UXY | 1,773,367 | 1,769,149 | +4,218 | +388,956 |
US | 1,335,657 | 1,328,246 | +7,411 | +999,163 |
WN | 1,527,809 | 1,525,544 | +2,265 | +468,790 |
Total | +37,981 | +2,427,202 |